A fast fractional difference algorithm

Andreas Noack Jensen; Morten Ørregaard Nielsen

doi:10.1111/jtsa.12074

A fast fractional difference algorithm

Andreas Noack Jensen, Morten Ørregaard Nielsen^*

^*Corresponding author af dette arbejde

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review

Abstract

We provide a fast algorithm for calculating the fractional difference of a time series. In standard implementations, the calculation speed (number of arithmetic operations) is of order T², where T is the length of the time series. Our algorithm allows calculation speed of order TlogT. For moderate and large sample sizes, the difference in computation time is substantial.

Originalsprog	Engelsk
Tidsskrift	Journal of Time Series Analysis
Vol/bind	35
Nummer	5
Sider (fra-til)	428-436
Antal sider	9
ISSN	0143-9782
DOI	https://doi.org/10.1111/jtsa.12074
Status	Udgivet - 1 jan. 2014

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10.1111/jtsa.12074

http://www.scopus.com/inward/record.url?scp=84906495300&partnerID=8YFLogxK

Citationsformater

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AB - We provide a fast algorithm for calculating the fractional difference of a time series. In standard implementations, the calculation speed (number of arithmetic operations) is of order T2, where T is the length of the time series. Our algorithm allows calculation speed of order TlogT. For moderate and large sample sizes, the difference in computation time is substantial.

KW - Circular convolution theorem

KW - Fast Fourier transform

KW - Fractional difference

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M3 - Journal article

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A fast fractional difference algorithm

Abstract

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